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Suppose the market portfolio M only consists of two assets A and B and you have the following information: M = 0.15, M = 0.175,

Suppose the market portfolio M only consists of two assets A and B and you have the following information: M = 0.15, M = 0.175, A = 0.2, B = 0.4. The correlation between A and B is -0.2. The expected return of A is 7% higher than the one of B. Determine the portfolio weights of A and B in the market portfolio? De- termine the expected returns of A and B?

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